Confidence sets for the date of a break in level and trend when the order of integration is unknown
We propose methods for constructing confidence sets for the timing of a break in level and/or trend that have asymptotically correct coverage for both I(0) and I(1) processes. These are based on inverting a sequence of tests for the break location, evaluated across all possible break dates. We separ...
| Main Authors: | , |
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| Format: | Article |
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Elsevier
2015
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| Subjects: | |
| Online Access: | https://eprints.nottingham.ac.uk/32662/ |